Scotiabank plans market-linked step-up autocallables tied to Russell

By Tali Rackner

Norfolk, Va., Oct. 14 – Bank of Nova Scotia plans to price 0% autocallable market-linked step-up notes due October 2019 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par of $10 plus a call premium of 10% to 11% per year if the index closes at or above its initial level on either annual observation date.

If the index finishes above the step-up level – 130% of the initial index level – the payout at maturity will be par plus the gain.

If the index gains by up to the step-up level, the payout will be par plus the step-up payment of 30%.

If the index return is negative, investors will be fully exposed to the losses.

BofA Merrill Lynch is the agent.

The notes will price and settle in October.

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